Package: lpirfs 0.2.5.9000

Philipp Adämmer

lpirfs: Local Projections Impulse Response Functions

Provides functions to estimate and visualize linear as well as nonlinear impulse responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>. The methods and the package are explained in detail in Adämmer (2019) <doi:10.32614/RJ-2019-052>.

Authors:Philipp Adämmer [aut, cre], James P. LeSage [ctb], Mehmet Balcilar [ctb], Jon Danielsson [ctb]

lpirfs_0.2.5.9000.tar.gz
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lpirfs_0.2.5.9000.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
lpirfs/json (API)

# Install 'lpirfs' in R:

install.packages('lpirfs', repos = c('https://adaemmerp.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/adaemmerp/lpirfs/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3

Datasets:

ag_data - Data to estimate fiscal multipliers
interest_rules_var_data - Data to estimate the effects of interest rate rules for monetary policy
monetary_var_data - Data to estimate a standard monetary VAR

On CRAN:

openblas cpp

6.95 score 53 stars 169 scripts 852 downloads 39 exports 48 dependencies

Last updated from:483d4426d9. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	334
linux-devel-x86_64	OK	312
source / vignettes	OK	341
linux-release-arm64	OK	345
linux-release-x86_64	OK	261
macos-release-arm64	OK	250
macos-release-x86_64	OK	384
macos-oldrel-arm64	OK	208
macos-oldrel-x86_64	OK	667
windows-devel	OK	268
windows-release	OK	252
windows-oldrel	OK	258
wasm-release	OK	171

Exports:create_lags create_lin_data create_nl_data create_panel_data get_mat_chol get_resids_ols get_robust_cov_panel get_robust_vcxt_panel get_std_err get_std_err_tsls get_vals_lagcrit get_vals_switching get_var_lagcrit hp_filter lp_lin lp_lin_iv lp_lin_panel lp_nl lp_nl_iv lp_nl_panel newey_west newey_west_pw newey_west_tsls ols_diagnost plot_lin plot_nl plot.lpirfs_lin_iv_obj plot.lpirfs_lin_obj plot.lpirfs_lin_panel_obj plot.lpirfs_nl_iv_obj plot.lpirfs_nl_obj plot.lpirfs_nl_panel_obj summary.lpirfs_lin_iv_obj summary.lpirfs_lin_obj summary.lpirfs_lin_panel_obj summary.lpirfs_nl_iv_obj summary.lpirfs_nl_obj summary.lpirfs_nl_panel_obj var_one

Dependencies:bdsmatrix cli codetools collapse cpp11 digest doParallel dplyr farver foreach Formula generics ggplot2 glue gridExtra gtable isoband iterators labeling lattice lifecycle lmtest magrittr MASS maxLik miscTools nlme pillar pkgconfig plm R6 rbibutils RColorBrewer Rcpp RcppArmadillo RcppEigen Rdpack rlang S7 sandwich scales tibble tidyselect utf8 vctrs viridisLite withr zoo

Replications and applications with lpirfs

Purpose | Code

Rendered fromlpirfs_vignette.Rmdusingknitr::rmarkdown

Last update: 2021-03-22
Started: 2019-10-08

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Local Projection Impulse Response Functions	lpirfs-package lpirfs
Data to estimate fiscal multipliers	ag_data
Function to get robust covariance matrix for panel data	get_robust_cov_panel
Decompose a times series via the Hodrick-Prescott filter	hp_filter
Data to estimate the effects of interest rate rules for monetary policy	interest_rules_var_data
Compute linear impulse responses	lp_lin
Compute linear impulse responses with identified shock and/or with 2SLS	lp_lin_iv
Compute linear impulse responses with local projections for panel data	lp_lin_panel
Compute nonlinear impulse responses	lp_nl
Compute nonlinear impulse responses with identified shock	lp_nl_iv
Compute nonlinear impulse responses for panel data	lp_nl_panel
Base methods for lpirfs_obj objects	lpirfs_obj-methods-base
Data to estimate a standard monetary VAR	monetary_var_data
Compute and display plots of linear impulse responses	plot_lin
Compute and display plots of nonlinear impulse responses	plot_nl
Base print() function to plot all impulse responses from linear lpirfs object	plot.lpirfs_lin_iv_obj
Base print() function to plot all impulse responses from linear lpirfs object	plot.lpirfs_lin_obj
Base print() function to plot all impulse responses from linear lpirfs object	plot.lpirfs_lin_panel_obj
Base print() function to plot all impulse responses from linear lpirfs object	plot.lpirfs_nl_iv_obj
Base print() function to plot all impulse responses from nonlinear lpirfs object	plot.lpirfs_nl_obj
Base print() function to plot all impulse responses from linear lpirfs object	plot.lpirfs_nl_panel_obj
Summary for nonlinear lpirfs object	summary.lpirfs_lin_iv_obj
Summary for linear lpirfs object	summary.lpirfs_lin_obj
Summary for nonlinear lpirfs object	summary.lpirfs_lin_panel_obj
Summary for nonlinear lpirfs object	summary.lpirfs_nl_iv_obj
Summary for nonlinear lpirfs object	summary.lpirfs_nl_obj
Summary for nonlinear lpirfs object	summary.lpirfs_nl_panel_obj